作者granzi (乌木)
看板Statistics
标题Re: [问题] E(max(X1, X2))
时间Mon Aug 3 04:25:28 2009
※ 引述《granzi (乌木)》之铭言：
: 如果 (X1, X2) ~ N(2, 2, 1, 1, 0.5)
: 请问 E(max(X1, X2)) = ?
答案是 2.5
请参考 Cain (1994) : Cain, M., ``The moment generating function of bivariate normal random
variables,'' The American Statistician
48(2), 124±125, (1994)
及
Basu & Ghosh(1978) . Jounral of Multivariate analysis, no.8 page 413-429.
(1994)
"Identifability of the mutlivariate and order distributions under competing
risks model"
如果 (X1, X2) ~ N(1, 2, 1, 1.2, -0.34)
则 E(max(X1, X2)) = 3.15055 (用R计算)
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